scholarly journals The Relationship between Oil Prices and Exchange Rate: The Case of Romania

2013 ◽  
Author(s):  
AHMET ŞAHBAZ ◽  
Uğur Adıgüzel ◽  
Tayfur Bayat ◽  
Selim Kayhan
Keyword(s):  
Exchange Rate ◽  
Frequency Domain ◽  
Oil Prices ◽  
Test Results ◽  
Causality Analysis ◽  
Causality Test ◽  
Crude Oil Prices ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the mediun and long run.

scholarly journals Exchange rate and oil price interactions in transition economies: Czech Republic, Hungary and Poland

2015 ◽  
Vol 62 (3) ◽  
pp. 267-285 ◽  
Author(s):  
Tayfur Bayat ◽  
Saban Nazlioglu ◽  
Selim Kayhan
Keyword(s):  
Exchange Rate ◽  
Czech Republic ◽  
Exchange Rates ◽  
Frequency Domain ◽  
Real Exchange Rates ◽  
Oil Price ◽  
Causality Analysis ◽  
Causality Test ◽  
Price Fluctuations ◽  
Long Run

This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy?s high imported energy dependency.

Determinants of housing inflation in Turkey: a conditional frequency domain causality

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mustafa Kırca ◽  
Şerif Canbay
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Frequency Domain ◽  
Test Results ◽  
Housing Supply ◽  
Causality Test ◽  
Content Type ◽  
Consumer Interest ◽  
Causality Tests ◽  
The Subject

Purpose This study aims to investigate whether changes in consumer interest rate, exchange rate and housing supply have permanent effects on housing inflation in Turkey. Design/methodology/approach For this purpose, data from 2010M01 to 2020M06 and changes in consumer interest rate, exchange rate, housing supply and housing inflation were used. Relationships between variables are analyzed first by the Granger causality tests and then the conditional frequency domain causality tests. The conditional frequency domain causality test specifically reveals the permanent causality between variables, whether there is a permanent effect. Findings According to the Granger causality test results, there are causality relationships from changes in the consumer interest rate and exchange rate to housing inflation. However, there is no causality relationship between housing supply and housing inflation. According to the conditional frequency domain causality test results, there is causality for the permanent and mid-term from changes in the consumer interest rate to housing inflation and causality for the mid-term and temporary from changes in the exchange rate to housing inflation. Additionally, it was found that there are causality relationships between changes in the consumer interest rate and changes in the exchange rate. Research limitations/implications The first limit of the study is that only 2010M01-2020M06 months can be considered. Because the date that variables started common is 2010M01. Besides, there is a limit in the study in variables used. Many variables, both micro and macro, can be added to affect housing inflation. Originality/value Housing inflation is a remarkable issue in Turkey. There is an increase in the number of studies on the subject in recent years. For this reason, the study is trying to contribute by approaching the subject from a different angle. The most important contribution of the study is that it has not been investigated whether the determinants of housing inflation have permanent or temporary effects, which were not done in previous studies. In addition, the method used reveals how many months the effects of changes in exchange rates, consumer interest rates and housing supply on housing inflation last. Based on the findings obtained from the methods, important economic and political implications have been put forward in depth.

scholarly journals FDI and Economic Growth in EU13 Countries: Cointegration and Causality Tests

2020 ◽  
Vol 12 (3) ◽  
pp. 47-63
Author(s):  
Vlatka Bilas ◽  
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
European Union ◽  
Annual Data ◽  
Foreign Direct Investments ◽  
Causality Test ◽  
Panel Ardl ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

Foreign direct investments are seen as a prerequisite for gaining and maintaining competitiveness. The research objective of this study is to examine the relationship between foreign direct investment (FDI) and economic growth in “new” European Union member countries using various unit root, cointegration, as well as causality tests. The paper employs annual data for FDI and gross domestic product (GDP) from 2002 to 2018 for the 13 most recent members of European Union (EU13): Bulgaria, Croatia, Cyprus, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia. An estimated panel ARDL (PMG) model found evidence that there is a long-run equilibrium between the LogGDP, LogFDI and LogFDIP series, with the rate of adjustment back to equilibrium between 3.27% and 20.67%. In the case of the LogFDI series, long-run coefficients are highly statistically significant in all four models, varying between 0.0828 and 0.3019. These coefficients indicate that a 1% increase in LogFDI increases LogGDP between 0.0828% and 0.3019%. Results of a Dumitrescu-Hurlin panel causality test indicated that a relationship between the GDP growth rate and FDI growth rate is only indirect. Finally, only weak evidence was shown that FDI had a statistically significant impact on GDP in the EU13 countries over the period 2002-2018. This report of findings contributes to the literature concerning FDI and economic growth, namely regarding the current understanding of the relationship between these two factors.

scholarly journals The Nexus between Export and Economic Growth in Tanzania

2019 ◽  
Vol 1 (2) ◽  
pp. p95
Author(s):  
Romanus L. Dimoso (PhD, Economics) ◽  
UTONGA, Dickson (MSc. Economics)
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Goods And Services ◽  
Long Run ◽  
Causality Tests ◽  
The Government ◽  
Econometrics Analysis

This study explored the causal relationship between exports and economic growth in Tanzania. It analyzed time series data for the period of 1980 to 2015. Economic growth is measured in terms of growth per cent while exports are measured in percentage change of goods and services sold abroad. Econometrics analysis was employed in the due course. Such procedures as testing for the presence of unit root, co-integration and causality were done. Furthermore, the Johansen co-integration and Granger causality tests were employed to examine the long-run relationship among variables. The results of co-integration indicate the existence of one co-integrating equation. The causality test results exhibited causality which runs from economic growth to exports. The results conclude that, in the long run, there is a relationship between exports and economic growth in Tanzania. This study recommends the Government to make efforts to improve exports and eventually, in the long-run, rejuvenating the economy.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

scholarly journals The Asymmetric Effect of Panic Index on Cryptocurrencies

2021 ◽  
Vol 7 ◽  
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Financial Markets ◽  
Money Market ◽  
Financial Assets ◽  
Causality Analysis ◽  
Asymmetric Effect ◽  
Causality Test ◽  
Causality Tests ◽  
The Impact ◽  
Asymmetric Causality ◽  
The Relationship

The Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is used to measure the impact of decisions on the crypto money market. As cryptocurrencies, Bitcoin (BTC), Etherium (ETH), and Ripple (XRP), which have the highest transaction volume in the crypto money market, are included in the analysis. The relationship between Panic Index and the three major cryptocurrencies with the largest share in the cryptocurrency market was investigated by Ardl and Hatemi-J asymmetric causality test. Traditional causality tests acknowledge that the effects of positive and negative changes are the same. However, there may be asymmetric information and different investor behaviors in financial markets. In the study, Hatemi-J [1] Asymmetric Causality Test was conducted to examine the asymmetric relationship and symmetric relationship between Pindex and cryptocurrencies by separating them into positive and negative shocks. According to the results of the Hatemi-J causality analysis, positive shocks in the panic index are the cause of negative shocks for all cryptocurrencies. In other words, increases in the panic index are caused to fall the value of Bitcoin, Ethereum, and Ripple cryptocurrencies decrease. The results show that cryptocurrencies were not a safe haven for the investor during the Covid 19 period, as they acted similarly to other financial assets.

scholarly journals Industrial production index - crude oil price nexus: Russia, Kazakhstan and Azerbaijan

2020 ◽  
Vol 65 (227) ◽  
pp. 119-141
Author(s):  
Fatih Kaplan ◽  
Ayşe Ünal
Keyword(s):  
Crude Oil ◽  
Frequency Domain ◽  
Industrial Production ◽  
Oil Prices ◽  
Oil Price ◽  
Causality Analysis ◽  
Crude Oil Price ◽  
Causality Test ◽  
Production Index ◽  
Industrial Production Index

The study aims to examine the causality between industrial production index and crude oil price for Russia, Kazakhstan and Azerbaijan by using Frequency Domain Causality Analysis. For this purpose, the monthly data of the industrial production index and Brent oil price data over the period 1993-2019 are used. The Frequency Domain Causality Analysis suggests that the uni-directional causality relationship runs from oil prices to industrial production index is valid in the medium run for Russia and Azerbaijan and in the short run for Kazakhstan. However, there is no uni-directional causality linkage between oil prices and industrial production index in the long run for any of the countries. We hope to contribute to the literature by using frequency-domain causality test which examines the interrelation of crude oil prices on industrial production with the periodicity in these countries. The finding of this study is expected to serve as a tool for industrial production policy.

Testing the Tourism-Led Growth hypothesis: The case of Malta

2009 ◽  
Vol 59 (3) ◽  
pp. 331-343 ◽  
Author(s):  
S. Katircioglu
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Relevant Literature ◽  
International Tourism ◽  
Test Results ◽  
Causality Test ◽  
Mediterranean Countries ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Causality Tests

Tourism-Led Growth (TLG) hypothesis results are inconclusive for Mediterranean countries in the relevant literature. This study contributes to the literature by employing the bounds test for co-integration and Granger causality tests to investigate level relationship and the direction of causality between international tourism and economic growth in the case of Malta. Results reveal that a long-run equilibrium relationship exists between international tourism and economic growth in the case of Malta. On the other hand, Granger causality test results suggest that both the Tourism-Led Growth and output-driven tourism hypotheses can be inferred for Malta since there is bidirectional causation between international tourism and economic growth.

scholarly journals Relationship Between Crude Oil Prices And Economic Growth In Selected OPEC Countries

2015 ◽  
Vol 32 (1) ◽  
pp. 11 ◽  
Author(s):  
Zied Ftiti ◽  
Khaled Guesmi ◽  
Frédéric Teulon Teulon ◽  
Slim Chouachi
Keyword(s):  
Economic Growth ◽  
United Arab Emirates ◽  
Oil Prices ◽  
Price Shocks ◽  
Global Business ◽  
Dynamic Correlation ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Relationship

<p>The aim of this study is to examine the degree of interdependence between oil prices and economic activity growth for four major countries (United Arab Emirates, Kuwait, Saudi Arabia, and Venezuela) in the Organization of the Petroleum Exporting Countries (OPEC) over the period from 3 September 2000 to 3 December 2010. We propose the frequency approach of Priestley and Tong (1973), which is the evolutionary co-spectral analysis. This method  offers a time-varying dynamic correlation measure for different horizons, short-run and medium-run. To complete our study by analyzing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We show that oil price shocks in periods during period of fluctuations in the global business cycle and/or financial turmoil affect the relationship between oil and economic growth in OPEC countries.</p>

scholarly journals Money Supply, Inflation and Economic Growth: Co-Integration and Causality Analysis

2020 ◽  
Vol 65 (2) ◽  
pp. 29-45
Author(s):  
Ayad Hicham
Keyword(s):  
Economic Growth ◽  
Money Supply ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Causality Analysis ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Natural Series

AbstractThe aim of this paper is to examine the relationship between money supply, inflation rate, and economic growth in the context of Algeria, using various econometric procedures as co-integration without and with structural breaks in addition to three different ways of causality test for the period 1970-2018, the results confirm the long-run relationship between the variables with more than three structural breaks, but with the absence of the effects of money supply and inflation rate on economic growth both in short run and long run terms, on the other hand, the causality results confirmed the existence of hidden causalities among the variables running from the cumulative components not from the natural series, and all the results support the Monetarist view of inflation though the absence of any effect of money supply on economic growth.

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